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arXiv · 1208.3830

On the Stability of Receding Horizon Control for Continuous-Time Stochastic Systems

Fajin Wei·Andrea Lecchini-Visintini
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Abstract

We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment strategy to repay a debt.

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Fajin Wei, Andrea Lecchini-Visintini. 2012-08-19. On the Stability of Receding Horizon Control for Continuous-Time Stochastic Systems. https://arxiv.org/abs/1208.3830

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